Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model

Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === With the flourishing development of the financial market and institution, the measurement and management of the credit risk becomes more and more important. There are many methods to measure the credit risk, such as the credit scoring model and the option pricing...

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Main Authors: Liang-Wei Huang, 黃亮維
Other Authors: 林允永
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/58322812620711298990
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spelling ndltd-TW-093TKU052140342015-10-13T11:57:26Z http://ndltd.ncl.edu.tw/handle/58322812620711298990 Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model 預測台灣上市上櫃公司財務危機─信用評分法與選擇權評價法之比較 Liang-Wei Huang 黃亮維 碩士 淡江大學 財務金融學系碩士班 93 With the flourishing development of the financial market and institution, the measurement and management of the credit risk becomes more and more important. There are many methods to measure the credit risk, such as the credit scoring model and the option pricing model are used extensively. This paper compares these two major credit risk model: “Altman’s Z-Score (credit scoring) and barrier option pricing model (option pricing).” Using the data of Taiwan’s listed companies from 2000 to 2004, and we adopt three major comparative laws: intra-cohort analysis, logit regression, and power curve. The empirical results of three kinds of comparative methods all get the same conclusion that Z-Score is better than barrier option pricing model. 林允永 2005 學位論文 ; thesis 65 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === With the flourishing development of the financial market and institution, the measurement and management of the credit risk becomes more and more important. There are many methods to measure the credit risk, such as the credit scoring model and the option pricing model are used extensively. This paper compares these two major credit risk model: “Altman’s Z-Score (credit scoring) and barrier option pricing model (option pricing).” Using the data of Taiwan’s listed companies from 2000 to 2004, and we adopt three major comparative laws: intra-cohort analysis, logit regression, and power curve. The empirical results of three kinds of comparative methods all get the same conclusion that Z-Score is better than barrier option pricing model.
author2 林允永
author_facet 林允永
Liang-Wei Huang
黃亮維
author Liang-Wei Huang
黃亮維
spellingShingle Liang-Wei Huang
黃亮維
Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
author_sort Liang-Wei Huang
title Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
title_short Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
title_full Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
title_fullStr Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
title_full_unstemmed Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
title_sort prediction of financial crisis, taking companies listed in taiwan security exchange and otc for instance－comparison of credit scoring model and option pricing model
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/58322812620711298990
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